CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8330	222.96***
γ leverage Additional response to negative shocks	0.1827	43.33***
λ₁ tau intercept Baseline long-term coefficient	0.0081	4.14***
λ₂ forecast adj. Forecast performance sensitivity	0.0435	3.90***
λ₃ tau persistence Long-term factor persistence	0.9497	73.39***

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